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Breif explanation: ( I will be sending comments and tutorial of how to
use.)
1st.: this indicator is similar to Don Fishback's work applying
volatility analysis for option trading, this is a tool to evaluate
price and probability, especially if you buy or sell options. But you
can also evaluate support and resistence in a market. The way it is
used is this; If you are looking at a market and you have a bullish or
bearish bias about the market, and options are overpriced ( as indicated
by volatility , 20 day higher than 90 day , etc.) with maybe 30 days to
expiration and you want to sell the option to receive the premium , you
can determine the probability of the option strike price being achieved
in 30 days. thereby Knowing your probability of profiting from this
position. ( Please this is briefly explaining.) also, if you are a buyer
of options, you can evaluate the probability of the option expiring
worthless or in the money.
......Please note here that ref(close,+5), which is the close +5 days
later
......an examined day, has NOT ANY meaning for the last 4 days, no
......matter if it is on your gaph and no matter if it gives you results
in any
......calculation. It SHOULD be handled with care.
2nd.: The above statement from Dimitri should read ;c1 = ref(close,-5),
meaning that I wanted to start my
calculation from the close 5 days ago not 5 days ahead in time, or what
ever time periord , meaning that if indicator reads 20 days
it would be 20 days from 5 days ago..
3rd.: Please see the attached image, I would like to try to project
lines as they did there, can
this be done, That is where the -5 came from.
4th.: This indicator can also be used this way, if the market is making
a top or bottom , or double top or
whatever pattern you see, with the current market volatility you can
see the probability of that pattern being
violated or holding and prices reacting to it.( such as , support and
resistence points in a market ) So , you see, that this could be just
one tool to evaluate market direction or timing.
Please , Does this make it a little clear.
I thank you for your feed back , I have corrected the first line of code
to read;
c1 = c;
I believe that we are reading to much into that one line of code; I
wanted the close of today,(which i explained to you ) which i got as
explained by tomasz; because the code could not look into the future so
it returned todays close, also , when i had ; ref(close,0) it to
returned todays close. i Know the code worked, because I tested it
against my excel spreadsheet , that i have been using this same
investment technique,
I agree with your evaluation and attached gif. but for the sake of the
calculation above it made no difference to the calculated results, in
the indicator or my spreadsheet, because i was using the close today.
This is a tool to evaluate the most probable range of prices over the
next (X) number of days at current market Volatility, and +1 , -1
standard deviations.
Please see the attached image can this be done.
Thank you.
Anthony;
Dimitris Tsokakis wrote:
> Anthony,"c1 = ref(close,0); which made no difference to the
> calculations as
> when I had
> c1 = ref(close,1);"This is not correct.ref(close,0) is the close 0
> days ago, ie todayref(close,1) is the close 1 day ahead, ie tomorrowIt
> makes difference to the calculation.See att. gif.The two above
> functions are plotted on the same graph.Curves are different. [Perhaps
> your misunderstanding is the last day of your data.As you see from
> gif, for that last day prices are equal.Why?Because, whithout data for
> tomorrow, the program gives forref(close,1) the available today´s
> price.(In my opinion, it should indicate an {empty} value,
> becauseref(close,+1) exists for all previous days except the last
> one)I do not know how it is designed, I know how it works.] Anyway,
> the simple line for today´s close isc1=c;I hope this is more clear
> now.Please note here that ref(close,+5), which is the close +5 days
> laterthan examined day, has NOT ANY meaning for the last 4 days,
> nomatter if it is on your gaph and no matter if it gives you results
> in anycalculation. It SHOULD be handled with care. Dimitris Tsokakis
>
>
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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Dimitri and Tomasz :
<p>Breif explanation: ( I will be sending comments and tutorial of how
to use.)
<p><i><u>1st.:</u></i> this indicator is similar to Don Fishback's
work applying volatility analysis for option trading, this is a tool
to evaluate price and probability, especially if you buy or sell options.
But you can also evaluate support and resistence in a market. The
way it is used is this; If you are looking at a market and you have a bullish
or bearish bias about the market, and options are overpriced ( as indicated
by volatility , 20 day higher than 90 day , etc.) with maybe 30 days to
expiration and you want to sell the option to receive the premium , you
can determine the probability of the option strike price being achieved
in 30 days. thereby Knowing your probability of profiting from this position.
( Please this is briefly explaining.) also, if you are a buyer of options,
you can evaluate the probability of the option expiring worthless or in
the money.
<br>
<p>......Please note here that ref(close,+5), which is the close +5 days
later
<br>......an examined day, has NOT ANY meaning for the last 4 days, no
<br>......matter if it is on your gaph and no matter if it gives you results
in any
<br>......calculation. It SHOULD be handled with care.
<p><i><u>2nd.:</u></i> The above statement from Dimitri should read ;<b>c1
= ref(close,-5)</b>, meaning that I wanted to start my
<br>calculation from the close 5 days ago not 5 days ahead in time,
or what ever time periord , meaning that if indicator reads 20 days
<br>it would be 20 days from 5 days ago..
<p><i><u>3rd.:</u></i> Please see the attached image, I would like to try
to project lines as they did there, can
<br>this be done, That is where the<b> -5 </b>came from.
<p><i><u>4th.:</u></i> This indicator can also be used this way,
if the market is making a top or bottom , or double top or
<br>whatever pattern you see, with the current market volatility
you can see the probability of that pattern being
<br>violated or holding and prices reacting to it.( such as , support and
resistence points in a market ) So , you see, that this could be just one
tool to evaluate market direction or timing.
<br>
<p>Please , Does this make it a little clear.
<p>I thank you for your feed back , I have corrected the first line of
code to read;
<br>c1 = c;
<p>I believe that we are reading to much into that one line of code; I
wanted the close of today,(which i explained to you ) which i got as explained
by tomasz; because the code could not look into the future so it returned
todays close, also , when i had ; ref(close,0) it to returned todays close.
i Know the code worked, because I tested it against my excel
spreadsheet , that i have been using this same investment technique,
<br>I agree with your evaluation and attached gif. but for the sake of
the calculation above it made no difference to the calculated results,
in the indicator or my spreadsheet, because i was using the close today.
<br>This is a tool to evaluate the most probable range of prices over the
next (X) number of days at current market Volatility, and +1 , -1 standard
deviations.
<p>Please see the attached image can this be done.
<p>Thank you.
<br>Anthony;
<br>
<br>
<br>
<br>
<br>
<p>Dimitris Tsokakis wrote:
<blockquote TYPE=CITE><style></style>
<font size=-1>Anthony,"c1 = ref(close,0);
which made no difference to the calculations as</font>
<br><font size=-1>when I had</font>
<br><font size=-1>c1 = ref(close,1);"This is not correct.ref(close,0) is
the close 0 days ago, ie todayref(close,1) is the close 1 day ahead, ie
tomorrowIt makes difference to the calculation.See att. gif.The two above
functions are plotted on the same graph.Curves are different.</font> <font size=-1>[Perhaps
your misunderstanding is the last day of your data.As you see from gif,
for that last day prices are equal.Why?Because, whithout data for tomorrow,
the program gives forref(close,1) the available today´s price.(In my opinion,
it should indicate an {empty} value, becauseref(close,+1) exists for all
previous days except the last one)I do not know how it is designed, I know
how it works.]</font> <font size=-1>Anyway, the simple line for today´s
close isc1=c;I hope this is more clear now.Please note here that ref(close,+5),
which is the close +5 days laterthan examined day, has NOT ANY meaning
for the last 4 days, nomatter if it is on your gaph and no matter if it
gives you results in anycalculation. It SHOULD be handled with care.</font>
<font size=-1>Dimitris Tsokakis</font>
<br>
<br>
<p><tt>Your use of Yahoo! Groups is subject to the <a href="http://docs.yahoo.com/info/terms/";>Yahoo!
Terms of Service</a>.</tt></blockquote>
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